Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0181
Annualized Std Dev 0.3113
Annualized Sharpe (Rf=0%) 0.0581

Row

Daily Return Statistics

Close
Observations 3291.0000
NAs 1.0000
Minimum -0.1304
Quartile 1 -0.0085
Median 0.0007
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0093
Maximum 0.2345
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0196
Skewness 0.3484
Kurtosis 12.0457

Downside Risk

Close
Semi Deviation 0.0139
Gain Deviation 0.0145
Loss Deviation 0.0148
Downside Deviation (MAR=210%) 0.0183
Downside Deviation (Rf=0%) 0.0138
Downside Deviation (0%) 0.0138
Maximum Drawdown 0.6621
Historical VaR (95%) -0.0296
Historical ES (95%) -0.0467
Modified VaR (95%) -0.0252
Modified ES (95%) -0.0252
From Trough To Depth Length To Trough Recovery
2008-02-27 2008-11-20 2010-09-20 -0.6621 647 188 459
2010-11-08 2013-08-28 2018-01-11 -0.5362 1807 706 1101
2018-01-25 2020-03-23 2021-01-04 -0.5143 741 543 198
2021-01-15 2021-01-29 2021-02-03 -0.0659 13 10 3
2021-03-12 2021-03-18 NA -0.0518 7 5 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -3.5 4.4 1.4 1.3 -2.1 3.7 -0.4 -0.1 -2 -8.7 -0.4 -7
2009 2.2 -2.9 4.8 1 3.1 1.8 0.7 -2.8 -2.1 -5.3 2.9 -0.2 2.9
2010 2.5 2 1.2 -1.6 -1.9 0.4 0.3 2.7 3 0.7 3.9 1.4 15.4
2011 0 1.6 0.9 -0.2 -0.6 0.3 0.3 -0.5 -3.6 -2.3 0.2 -0.8 -4.9
2012 3.4 0.7 3 0.1 -1.3 5.6 0.4 0.2 2 2 1.2 1.2 19.9
2013 0.4 -0.6 -0.5 -0.8 -2.7 1.4 0.9 2.7 1.4 0.9 2.1 0.9 6
2014 0.1 -0.2 1.1 -0.1 -1.4 1.6 -0.3 0.2 -1.6 1.6 -0.8 0.2 0.2
2015 -3 2.3 1.5 0.9 0.1 1.3 1.1 -3.3 -1.1 -0.7 0.3 0.8 0.1
2016 -0.9 5 -0.1 -0.3 -0.3 1.3 -0.5 0.5 2.3 -0.4 -0.9 0.3 6.1
2017 0.7 1.6 0.1 0.1 0.9 0.7 0.8 1.1 1.1 0.8 -1.5 0.7 7.3
2018 -1.7 -0.3 1.1 -0.3 0.5 1.9 -0.1 0.7 -0.2 3.1 -0.5 -0.2 3.8
2019 -1.2 0.3 0.8 -0.2 0.5 0.4 -1.5 0.5 -2.2 1.5 -0.8 0.3 -1.8
2020 -1.5 -3.3 -6.5 -3.4 3.2 2 -0.9 1.8 1.4 0 3.4 0.5 -3.7
2021 3.9 3 2.2 NA NA NA NA NA NA NA NA NA 9.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-02-22  25.2 SPY    136.  0.0062   0.0033   0.0131  -0.0624  -0.0703    0.126    0.608 GLD    93.4  0.0015   0.041 
2 2008-02-25  25.9 SPY    137.  0.0126   0.0162   0.0173  -0.0307  -0.0549    0.158    0.612 GLD    92.7 -0.007    0.0403
3 2008-02-26  26.2 SPY    138.  0.0075   0.021    0.04    -0.04    -0.0469    0.158    0.651 GLD    93.7  0.0105   0.0233
4 2008-02-27  26.1 SPY    138. -0.001    0.0169   0.022   -0.0194  -0.0092    0.150    0.636 GLD    94.8  0.0114   0.0165
5 2008-02-28  25.7 SPY    137. -0.0098   0.0154   0.0071  -0.04    -0.0288    0.127    0.644 GLD    96.0  0.0128   0.0294
6 2008-02-29  24.8 SPY    134. -0.0223  -0.0133  -0.0081  -0.0905  -0.0476    0.109    0.587 GLD    96.2  0.002    0.0299
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart